Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales
Shinji Kakinaka, Ken Umeno
Year of publication: |
2022
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Authors: | Kakinaka, Shinji ; Umeno, Ken |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 62.2022, p. 1-18
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Subject: | Asymmetric volatility effect | Cryptocurrency markets | Fractal regression analysis | Scale-dependent correlations | Volatilität | Volatility | Virtuelle Währung | Virtual currency | ARCH-Modell | ARCH model | Korrelation | Correlation | Schätzung | Estimation | Kapitaleinkommen | Capital income |
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